变执行价格认股权证定价研究

Study on the Value of Warrant with Variable Strike Price

由于法规的制约,国内仅少数公司小比例发行过认股权证,但越来越多的公司开始意识到它的多重作用。在欧式期权稀释定价模型的基础上,提出任何时候可行权且行权价格是时间之函数的认股权证定价模型,给出价值方程,采用有限差分法编程计算了一个实例,分析了认股权证对风险和利率的敏感性。

Under the restriction of the regulations, the domestic warrants could only be issued by big shareholders. Based on the European Option Diluting Pricing Model, the paper presented the warrant pricing model which is practical and its strike price is a continuous and flexible function over time. Its reliability was tested by a special example. We also used it to analyse the value sensitivity over risk-free interest and standard deviation of yield per year.